How to enable Intel denoiser using python?
I don't think the problem is with the setting not taking effect.  I think the node is there, you just need to reference it by name instead of index since the numbers you are using aren't working.
This should fix it:
link = links.new(render.outputs['Denoising Normal'], denoise_node.inputs[1]) # Denoising Normal
link = links.new(render.outputs['Denoising Albedo'], denoise_node.inputs[2]) # Denoising Albedo

There is a plugin on GitHub that does this: blender_instant_denoise. That's where I found the answer.